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Taiwan Stock Exchange Corporation Rules for Announcement or Notice of Attention to Trading Information and Dispositions(2009.03.20) |
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1. These Rules are adopted pursuant to Articles 4 and 5 of the Taiwan Stock Exchange Corporation ("TWSE") Rules Governing Implementation of the Stock Market Surveillance System.
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2. When the TWSE discovers any of the following in the centralized securities exchange market ("the market") through its analysis of stocks, beneficial interest certificates, convertible corporate bonds, corporate bonds with warrants, preferred shares with warrants, depositary receipts, call (put) warrants, or other securities during daily trading hours, it will take measures pursuant to the provisions of Point 3 herein:
(1) Where, on trading volume of 3,000 trading units or more, the amplitude of change in the intraday transaction price exceeds 9 percent, while also exceeding the amplitude of change in the TWSE Capitalization-Weighted Stock Index by 5 percent or more.
(2) Where, on trading volume of 3,000 trading units or more, the percentage of increase or decrease in the intraday transaction price exceeds 6 percent, while also exceeding the percentage of increase or decrease in the TWSE Capitalization Weighted Stock Index by 4 percent or more.
(3) Where, on trading volume of 3,000 trading units or more, intraday turnover exceeds 10 percent, provided that this shall not apply to convertible corporate bonds, corporate bonds with warrants, preferred shares with warrants, bond conversion entitlement certificates, depositary receipts, and call (put) warrants.
(4) Where trading information is announced or disposition measures adopted pursuant to these Rules.
(5) Where market rumors, media reporting, or TWSE computer analysis finds significant manipulation, and signed approval is granted pursuant to a report of the incident.
(6) Other circumstances designated by the competent authority.
The amplitude of intraday transaction price changes or the percentage of intraday increase or decrease in price for call (put) warrants, corporate bonds with warrants, and preferred stock with warrants is calculated according to the following formula:
The intraday amplitude of price change or percentage of increase or decrease in price = the monetary value of price fluctuation in the call (put) warrant, corporate bond with warrant, or preferred stock with warrant ÷ [the reference bid price at market opening for the given underlying security (or for call (put) warrants on baskets of securities, the largest security included) × the exercise ratio for the given day] × 100%, and expressed as the difference between this figure and the percentage amplitude or the percentage increase or decrease in price of the underlying security (or for call (put) warrants on baskets of securities, the average value of the percentage amplitude or the percentage increase or decrease in price).
The provisions of subparagraphs 1, 2, and 3 of paragraph 1 concerning "on trading volume of 3,000 trading units or more" do not apply during a period of trading without price limits of an initial listing of common stock.
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3. To ensure security of settlement for securities trades, when TWSE analysis discovers any of the following circumstances in intraday trading at a securities firm involving the securities listed in the preceding point, it will, promptly after market closing, issue written notice to the internal auditing or operations department of the aforesaid securities firm, with a copy to the general manager of its head office; in the case of the Taiwan branch office of a foreign securities firm, it will bring the matter to the attention of the branch office manager:
(1) Where the difference between an investors' purchase/sale orders for the given security at the given securities firm exceeds NT$300 million and also exceeds one time the net worth of the given securities firm, and where the volume it purchased (or sold) on consignment accounts for 20 percent or more of the total monetary volume of consigned purchases (or sales) of the given security.
(2) Where the difference between orders accepted by a securities firm for purchase/sale of the given security exceeds NT$500 million and also exceeds 1.5 times the net worth of the given securities firm, and where the volume it accepted in consignments for purchases (or sales) accounts for 40 percent or more of the total monetary volume of all consignments for purchases (or sales) of the given security.
(3) Where the difference between an investor's confirmed purchases/sales of the given security through the given securities firm exceeds NT$100 million and also exceeds 0.3 times the net worth of the given securities firm, and where the volume of its confirmed purchases (or sales) accounts for 10 percent or more of the total monetary volume of all confirmed trades in the given security.
(4) Where the difference between confirmed purchases/sales of the given security by a securities firm exceeds NT$200 million and also exceeds one time the net worth of the given securities firm, and where the volume of the confirmed purchases (or sales) thereby accounts for 20 percent or more of the total monetary volume of confirmed trades in the given security.
When the circumstances under subparagraphs 1 or 2 of the preceding paragraph apply to a securities firm, the TWSE may inform the persons referred to in paragraph 1 by telephone within the period when the trading order is consigned or the trade is made.
During a period of trading without price limits of an initial listing of common stock, the provisions of paragraphs 1 and 2 regarding notice to the securities firm shall apply mutatis mutandis under any of the circumstances listed below:
(1) Where any of the following circumstances applies to the price of an investor's purchase/sale orders for the given security with the given securities firm, and the cumulative volume of those orders reaches 1,000 trading units (or the cumulative value of the orders reaches NT$50 million) or more:
i. Before market opening, a buy order is placed at a price higher than that day's opening reference price by 25% or more, or a sell order is placed at a price lower than that day's opening reference price by 25% or more.
ii. After market opening, a buy order is placed at a price higher than the posted price for orders currently being transacted by 25% or more, or a sell order is placed at a price lower than the posted price for orders currently being transacted by 25% or more.
(2) Where any of the following circumstances applies to the prices of orders accepted by a securities firm for purchase/sale of the given security, and the cumulative volume of those orders reaches 5,000 trading units or more or the cumulative value of those orders reaches either NT$200 million or 0.5 times or more of the given securities firm's net worth:
i. Prior to market opening, a buy order is placed at a price higher than that day's opening reference price by 25% or more, or a sell order is placed at a price lower than that day's opening reference price by 25% or more.
ii. After market opening, a buy order is placed at a price higher than the posted price for orders currently being transacted by 25% or more, or a sell order is placed at a price lower than the posted price for orders currently being transacted by 25% or more.
If trading of any securities listed in the preceding article under an omnibus trading account of a securities firm reaches a level referred to in paragraph 1 or paragraph 3, the TWSE may bring the matter to the attention of the management of the securities firm, to ensure the security of settlement for securities trades.
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4. At the close of trading each day, the TWSE will analyze trading in securities, including stocks, beneficial interest certificates, convertible corporate bonds, corporate bonds with warrants, preferred stocks with warrants, depositary receipts, and call (put) warrants. Upon discovery of any of the following circumstances, the TWSE will announce related trading information (such as the degree of upward or downward movement in prices, trading volume, turnover rate, degree of concentration, price-to-earnings ratio, price to book ratio, or long/short ratio):
(1) An irregularity in the cumulative percentage of increase or decrease in the closing price during the most recent period.
(2) An irregularity in the percentage of increase or decrease in the closing price between the initial and final business days of the most recent period.
(3) An irregularity in the cumulative percentage of increase or decrease in the closing price during the most recent period, combined with an unusually large increase in the intraday volume of trade relative to the daily average in the most recent period.
(4) An irregularity in the cumulative percentage of increase or decrease in the closing price during the most recent period, combined with an unusually high intraday turnover rate.
(5) An irregularity in the cumulative percentage of increase or decrease in the closing price during the most recent period, combined with intraday consigned trading of the given security at a securities firm in which confirmed purchases or sales account for an unusually high percentage of the intraday volume of trade in the given security.
(6) A significant increase in the daily volume of trading for a given day or several recent days relative to the daily average volume of trade for the most recent period.
(7) A significantly high cumulative turnover rate for the most recent period.
(8) An irregular price-to-earnings rate or price-to-book ratio, or an usually high intraday turnover, combined with any of the following three circumstances: a relatively high price-to-book ratio for stocks of the given industry; an intraday value for confirmed purchases or sales of the given security at any single securities firm that accounts for an unusually high proportion of the total intraday value of confirmed trades in the given security; or an intraday value for confirmed purchases or sales of the given security by any single investor that accounts for an unusually high proportion of the total intraday value of confirmed trades in the given security.
(9) A significant increase in the long/short ratio during the preceding period.
(10) Other trading irregularities as determined by resolution of the Surveillance Operations Oversight Committee.
The cumulative percentage of increase or decrease in the closing price during the recent period for call (put) warrants, corporate bonds with warrants, and preferred stock with warrants is calculated by means of the following formula:
The cumulative percentage of increase or decrease in the closing price during the given period = the monetary value of the increase or decrease in the daily closing price of the call (put) warrant, corporate bond with warrant, or preferred stock with warrant during the given period ÷[the reference bid price at market opening for the given underlying security on a given day during the given period (or for call (put) warrants on baskets of securities, the largest security included) × the exercise ratio for the given day] × 100%, and expressed as the difference between this figure and the cumulative percentage of increase or decrease in the closing price for the underlying security during the same period (or for call (put) warrants on baskets of securities, the average value of the cumulative increases or decreases in closing price for the securities in the basket)
Numerical standards for the irregularities listed under each of the subparagraphs of paragraph 1, and any exceptions to those conditions, are subject to adjustment at any time by the TWSE in view of market conditions, with adjustments to be implemented upon review and recordation by the competent authority.
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5. Given the occurrence of any of the circumstances of the preceding article in securities trading, the TWSE will announce the name of the security and related trading information through the following channels:
(1) The information will be announced between 8 am and 4 pm of the next business day on the TWSE Market Information System (MIS), with an asterisk "*" preceding the name of the security.
(2) The information will be provided for investor inquiry through the Internet and automated telephone inquiry systems.
(3) Securities firms will be requested to post the information at their places of business.
(4) The information will be provided to the media for dissemination by broadcast and publication.
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6. Where the TWSE has announced trading information for a particular security pursuant to Article 4, paragraph 1, subparagraphs 1-9 for a period of five consecutive business days, or for any six business days with the most recent 10-day period, or for any 12 business days within the most recent 30-day period, the TWSE will announce that the security will be subject to disposition measures.
Where measures under paragraph 1 have been announced for a particular security for the first time within the most recent 30 business days, the TWSE will simultaneously adopt the following measures within 5 business days of the next business day after the condition occurs:
(1) Conducting trade matching for the securities with manually controlled trade matching terminals (matching approximately every five minutes, or for securities placed under altered trading methods, every ten minutes).
(2) Notifying securities brokers that when an investor's daily volume of trading orders for the security during the given period consists of a single trade of 100 trading units or multiple trades with an aggregate total of 300 trading units or more, they shall collect from the investor a minimum of 50 percent of the buy-side price or sell-side securities for trades already consigned that day; for margin trading, they shall collect in full the margin for the purchase or the short sale. For further trading orders in excess of the aforementioned amounts on the same day, 50 percent of the buy-side price or sell-side securities shall also be collected, and for margin trading, the margins shall also be collected in full, provided that this shall not apply at the time of liquidation of margin trades.
When measures under the paragraph 1 have been announced two or more times (inclusive) for a particular security within the most recent 30 business days, the TWSE will simultaneously adopt the following measures within 5 business days of the next business day after the occurrence:
(1) Conducting trade matching for the securities with manually controlled trade matching terminals (matching approximately every ten minutes).
(2) Notifying securities brokers that when an investor's daily volume of trading orders for the security during the given period consists of a single trade of at least 50 trading units or multiple trades of 150 trading units or more, they shall collect from the investor in full the buy-side price or sell-side securities for trades already consigned that day; for margin trading, they shall collect in full the margin for the purchase or the short sale. For further trading orders in excess of the abovementioned amounts on the same day, 50 percent of the buy-side price or sell-side securities shall also be collected, and for margin trading, the margins shall also be collected in full, provided that this shall not apply at the time of liquidation of margin trades and the placement of orders to sell securities in the default accounts.
When measures are announced for a particular security pursuant to paragraph 2 or 3 herein and reasons for announcement include circumstances under Article 4, paragraph 1, subparagraph 8, or during the period of disposition the TWSE further announces trading information pursuant to the aforementioned subparagraph 8 and analysis shows irregularities, or when the TWSE deems that there is a securities trading irregularity with the likelihood of a significant impact on the security of settlements in the market, then after reporting to the Surveillance Operations Oversight Committee for a resolution, it may adopt the following disposition measures:
(1) The measures under paragraphs 2 and 3, provided that these may be adjusted when necessary, as follows:
i. The time at which trade matching of the security is done using manually controlled trade matching terminals.
ii. Whether, when the investor places the order for the security involved in the irregular trading, there is advance collection of all or a specific proportion of the buy-side price, sell-side securities, margin for margin purchase, or margin for short sale.
iii. The effective period of the measures.
(2) Amounts of reported daily sales or purchases of the given security may not exceed NT$60 million by the head office of any securities firm or NT$10 million by a branch office of any securities firm; when necessary, the amounts of reported daily sales or purchases of the given security at the head offices and branch offices of securities firms may be adjusted based on the current trading in that security, its market value, or the capitalization of the issuing company. Provided, this shall not apply at the time of liquidation of margin trades and the placement of orders to sell securities in the default accounts.
(3) Other measures.
Measures for disposition under subparagraph 2 of the preceding paragraph may also be adopted pursuant to a resolution of the special management committee of the Joint Responsibility System Clearing and Settlement Fund, which may prescribe the amounts of reported daily purchases or sales of the given security by securities firms and the period of disposition.
When disposition measures are adopted with respect to trading in a given security by resolution of the Surveillance Operations Oversight Committee or the special management committee of the Joint Responsibility System Clearing and Settlement Fund, the number of days on which trading information is announced prior to implementation of the measures or during the effective period of the disposition need not be included in the basis of calculation under paragraph 1.
If during a period of any measure under paragraphs 2 to 4 an order is placed for trading of the given securities under an omnibus trading account of a securities broker, the provisions for that measure shall apply, and the securities firm shall collect all or a specific proportion of the buy-side price or sell-side securities from any representative (mandatary) for any principal thereunder that reaches the threshold.
When there are successive, sharp increases or decreases in the market price of a security such that other securities undergo corresponding abnormal fluctuations in price and there is a likelihood that such conditions would be prejudicial to market order or the public interest, or when any other irregularity occurs with respect to a security that is clearly prejudicial to market order or the public interest, the TWSE may, upon resolution by the Surveillance Operations Oversight Committee, report to the competent authority requesting that a halt in trading of the given security be approved for a specified time period.
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7. When the TWSE adopts measures for disposition pursuant to the previous Point, the content of the measures will be announced through the following channels:
(1) The information will be announced on the TWSE Market Information System (MIS), with an ampersand "&" preceding the name of the security.
(2) The information will be provided for investor inquiry through the Internet and automated telephone inquiry systems.
(3) Securities firms will be requested to post the information at their places of business.
(4) The information will be provided to the media for dissemination by broadcast and publication.
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8. The TWSE has installed surveillance cameras and telephone recording systems in the working areas where online real-time information is provided; personnel executing their duties pursuant to these Rules shall abide by the provisions of the Regulations for Management of Personnel Surveillance, with full video and telephone recordings of their activities. Video and telephone recordings shall be retained for a period of at least three months.
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9. These Rules will be promulgated and implemented on a prescribed date after review and recordation by the competent authority.
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